McCoist saw his side secure their first semi-final slot under his charge as they beat Queen of the South 3-0 at Palmerston in the Ramsdens Cup on Tuesday.
Goals from Bilel Mohsni, Jon Daly and Lee McCulloch secured victory over the Championship outfit.
McCoist said: "It would be great to win the Ramsdens Cup but we want to win every cup we're in. We were gutted last season to be knocked out of it by the team we beat tonight.
"The one I want to win is the league because I won't be in a job if I don't get us promoted. But I want to win every competition we enter and we're still in the Ramsdens and Scottish Cup this season."
Rangers now face a semi-final tie against one of Annan, Raith and Stenhousemuir when the draw is made on Thursday.
The Light Blues remain a division below Jim McIntyre's men following their liquidation and reformation in the bottom tier 12 months ago but McCoist has made a successful start to this season's promotion push with five wins out of five.